Provides an implementation of IVolatilityModel that computes the annualized sample standard deviation of daily returns as the volatility of the security More...

Inheritance diagram for QuantConnect.Securities.StandardDeviationOfReturnsVolatilityModel:

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Public Member Functions
	StandardDeviationOfReturnsVolatilityModel (int periods, Resolution? resolution=null, TimeSpan? updateFrequency=null)
	Initializes a new instance of the StandardDeviationOfReturnsVolatilityModel class More...

	StandardDeviationOfReturnsVolatilityModel (Resolution resolution, TimeSpan? updateFrequency=null)
	Initializes a new instance of the StandardDeviationOfReturnsVolatilityModel class More...

override void	Update (Security security, BaseData data)
	Updates this model using the new price information in the specified security instance More...

override IEnumerable< HistoryRequest >	GetHistoryRequirements (Security security, DateTime utcTime)
	Returns history requirements for the volatility model expressed in the form of history request More...

Public Member Functions inherited from QuantConnect.Securities.Volatility.BaseVolatilityModel
virtual void	SetSubscriptionDataConfigProvider (ISubscriptionDataConfigProvider subscriptionDataConfigProvider)
	Sets the ISubscriptionDataConfigProvider instance to use. More...

IEnumerable< HistoryRequest >	GetHistoryRequirements (Security security, DateTime utcTime, Resolution? resolution, int barCount)
	Gets history requests required for warming up the greeks with the provided resolution More...

Properties
override decimal	Volatility `[get]`
	Gets the volatility of the security as a percentage More...

Properties inherited from QuantConnect.Securities.Volatility.BaseVolatilityModel
ISubscriptionDataConfigProvider	SubscriptionDataConfigProvider `[get, set]`
	Provides access to registered SubscriptionDataConfig More...

virtual decimal	Volatility `[get]`
	Gets the volatility of the security as a percentage More...

Properties inherited from QuantConnect.Securities.IVolatilityModel
decimal	Volatility `[get]`
	Gets the volatility of the security as a percentage More...

Detailed Description

Provides an implementation of IVolatilityModel that computes the annualized sample standard deviation of daily returns as the volatility of the security

Definition at line 31 of file StandardDeviationOfReturnsVolatilityModel.cs.

Constructor & Destructor Documentation

◆ StandardDeviationOfReturnsVolatilityModel() [1/2]

QuantConnect.Securities.StandardDeviationOfReturnsVolatilityModel.StandardDeviationOfReturnsVolatilityModel	(	int	periods,
		Resolution?	resolution = `null`,
		TimeSpan?	updateFrequency = `null`
	)

Initializes a new instance of the StandardDeviationOfReturnsVolatilityModel class

Parameters

periods	The max number of samples in the rolling window to be considered for calculating the standard deviation of returns
resolution	Resolution of the price data inserted into the rolling window series to calculate standard deviation. Will be used as the default value for update frequency if a value is not provided for updateFrequency . This only has a material effect in live mode. For backtesting, this value does not cause any behavioral changes.
updateFrequency	Frequency at which we insert new values into the rolling window for the standard deviation calculation

The volatility model will be updated with the most granular/highest resolution data that was added to your algorithm. That means that if I added Resolution.Tick data for my Futures strategy, that this model will be updated using Resolution.Tick data as the algorithm progresses in time.

Keep this in mind when setting the period and update frequency. The Resolution parameter is only used for live mode, or for the default value of the updateFrequency if no value is provided.

Definition at line 86 of file StandardDeviationOfReturnsVolatilityModel.cs.

◆ StandardDeviationOfReturnsVolatilityModel() [2/2]

QuantConnect.Securities.StandardDeviationOfReturnsVolatilityModel.StandardDeviationOfReturnsVolatilityModel	(	Resolution	resolution,
		TimeSpan?	updateFrequency = `null`
	)

Initializes a new instance of the StandardDeviationOfReturnsVolatilityModel class

Parameters

resolution	Resolution of the price data inserted into the rolling window series to calculate standard deviation. Will be used as the default value for update frequency if a value is not provided for updateFrequency . This only has a material effect in live mode. For backtesting, this value does not cause any behavioral changes.
updateFrequency	Frequency at which we insert new values into the rolling window for the standard deviation calculation

The volatility model will be updated with the most granular/highest resolution data that was added to your algorithm. That means that if I added Resolution.Tick data for my Futures strategy, that this model will be updated using Resolution.Tick data as the algorithm progresses in time.

Keep this in mind when setting the period and update frequency. The Resolution parameter is only used for live mode, or for the default value of the updateFrequency if no value is provided.

Definition at line 119 of file StandardDeviationOfReturnsVolatilityModel.cs.

Member Function Documentation

◆ Update()

override void QuantConnect.Securities.StandardDeviationOfReturnsVolatilityModel.Update	(	Security	security,
		BaseData	data
	)

virtual

Updates this model using the new price information in the specified security instance

Parameters

security	The security to calculate volatility for
data	Data to update the volatility model with

Reimplemented from QuantConnect.Securities.Volatility.BaseVolatilityModel.

Definition at line 132 of file StandardDeviationOfReturnsVolatilityModel.cs.

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◆ GetHistoryRequirements()

override IEnumerable<HistoryRequest> QuantConnect.Securities.StandardDeviationOfReturnsVolatilityModel.GetHistoryRequirements	(	Security	security,
		DateTime	utcTime
	)